ICE BofAML U.S. Bond Market Option Volatility Estimate Index

ICE BofAML U.S. Bond Market 3 Month Option Volatility Estimate Index

ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

CDX/CBOE NA High Yield 1-Month Volatility Index (BP Volatility)

CDX/CBOE NA High Yield 3-Month Volatility Index (BP Volatility)

CDX/CBOE NA High Yield 6-Month Volatility Index (BP Volatility)

CDX/CBOE NA Investment Grade 1-Month Volatility Index (BP Volatility)

CDX/CBOE NA Investment Grade 3-Month Volatility Index (BP Volatility)

CDX/CBOE NA Investment Grade 6-Month Volatility Index (BP Volatility)

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE 1-Day Volatility Index

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CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7942	4.26***
α ARCH Response to squared shocks	0.0917	5.14***
β GARCH Volatility persistence	0.8573	40.96***

γ₁	-0.3970	-2.24**
γ₂	0.5193	2.04**
γ₃	-0.0177	-0.13
γ₄	-0.2335	-2.11**
γ₅	0.1762	1.74*
γ₆	0.1610	1.50
γ₇	-0.5406	-4.52***
γ₈	0.4653	5.32***

V-Lab

State Street SPDR Portfolio Aggregate Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR Portfolio Aggregate Bond ETF Analyses